Analysis of Fokker–Planck approach for foreign exchange market statistics study

A.P. Smirnov, A.B. Shmelev and E.Ya. Sheinin

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 203-206

Abstract: In a well-known work (Phys. Rev. Lett. 84 (2000) 5224) it was shown that behaviour of returns for foreign exchange markets in different time scales can be described in terms of Fokker–Planck equation, with Kramers–Moyal coefficients being estimated from the empirical data. In the current paper the authors provide analytical solution for stationary Fokker–Planck equation, which allows explanation of non Gaussian tails of the distribution function. It is also shown that while approximating empirical data one needs to observe some limitations for correct results obtaining.

Keywords: Fokker–Planck; Foreign exchange market (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:203-206

DOI: 10.1016/j.physa.2004.06.117

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